Information-theoretic estimation of preference parameters: macroeconomic applications and simulation evidence

DOI10.1016/S0304-4076(01)00121-XzbMath1030.62089OpenAlexW2018486243MaRDI QIDQ1858935

Allan W. Gregory, Gregor W. Smith, Jean-François Lamarche

Publication date: 17 February 2003

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(01)00121-x

zbMATH Keywords

Monte Carlogeneralized method of momentsKLIC estimation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Macroeconomic theory (monetary models, models of taxation) (91B64) Statistical aspects of information-theoretic topics (62B10)

Related Items (6)

Reconciling introspective utility with revealed preference: experimental arguments based on prospect theory ⋮ Blockwise generalized empirical likelihood inference for non-linear dynamic moment conditions models ⋮ Hyperbolic discounting and the standard model: eliciting discount functions ⋮ The empirical saddlepoint estimator ⋮ STRUCTURAL CHANGE TESTS BASED ON IMPLIED PROBABILITIES FOR GEL CRITERIA ⋮ Empirical likelihood block bootstrapping

Uses Software

• KLIC

Cites Work

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• Empirical likelihood ratio confidence regions
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• Empirical likelihood and general estimating equations
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• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Generalized Instrumental Variables Estimation of Nonlinear Rational Expectations Models
• Automatic Lag Selection in Covariance Matrix Estimation
• An Information-Theoretic Alternative to Generalized Method of Moments Estimation
• Information Theoretic Approaches to Inference in Moment Condition Models
• GMM with Weak Identification
• Covariance Matrix Estimation and the Power of the Overidentifying Restrictions Test
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• On Information and Sufficiency

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